银行理财产品发行会对银行同业拆借市场造成影响吗?——基于EEMD和时变Copula方法的研究  

Does Financial Products Affact SHIBOR? Based on EEMD and Time-varing Copula

作　　者：刘柳[1] 屈小娥[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《证券市场导报》2018年第2期59-68,共10页Securities Market Herald

基　　金：国家社会科学基金项目(13BJY073):"基于能源和环境约束的我国工业全要素生产率研究"

摘　　要：2016年4季度央行货币政策执行报告指出要将商业银行表外业务纳入宏观审慎监管。银行理财产品作为银行表外业务的重要组成部分,其收益率的波动是否会影响银行同业拆借市场利率呢?本文利用EEMD频域分解技术,结合时变高斯Copula函数模型,从高频、低频和趋势项三个频域刻画了理财产品收益率与银行同业拆借利率的动态联系。研究发现:两者在短期中联动作用不大,长期的联动依存关系明显,从长期看我国商业银行理财产品预期收益率与银行同业拆借市场的流动性存在非常紧密的联系。因此,为保证银行同业拆借市场的流动性安全,央行需要利用公开市场操作和借贷便利等货币政策工具熨平同业拆借利率的短期波动,在长期内则需重点关注银行理财产品收益率变化对银行同业拆借利率波动造成的冲击和影响。In the fourth quarter of 2016, the People＇s Bank of China pointed out in its Monetary Policy Implementation Report that the commercial bank＇s off-balance sheet business should be included in the macro-prudential supervision. Asset management products are now an important off-balance sheet business of the commercial bank. Will their yield rate volatility affact SHIBOR？ This paper used EEMD and the time-varying Copula function to describe the dynamic relationship between the yield of asset management products and CHIBOR from three freguency domains, namely high frequency, low frequency and trend. It finds that the linkage co-efficiency is not significant in short term, and the medium and long term linkage relation is obvious. In the long run, the expected yield rate and CHIBOR are closely related. Therefore, in order to ensure the liquidity security of SHIBOR, the People＇s Bank of China needs to use the open market operation and SLF et al. to iron the short-term fluctuations and to focus on the impact of asset management products yields rate on SHIBOR in long term.

关 键 词：理财产品 同业拆借利率 时频分解技术 时变高斯Copula模型 

分 类 号：F832.2[经济管理—金融学]